1、ADVANCED DERIVATIVESDescriptionThis course builds on the material covered in Options and Futures Markets. It is intended for students who have a quantitative background and are interested in enhancing their knowledge of the way in which derivatives can be analyzed.Required ReadingsHull, John C. Opti
2、ons, Futures, and Other Derivatives, 9th EditionHull, John C. Solutions Manual for Options, Futures, and Other Derivatives, 9th EditionAssignmentsThere are three hand-in assignments during the semester:Assignment 1: 14.13, 14.14, 14.16, 15.27, 15.29, 21.26, 21.28, 21.30 (due week 5)Assignment 2: 20.
3、25, 27.20, 27.22, 25.24, 25.29, 26.26, 26.27, 26.28, 27.23 (due week 10)Assignment 3: 28.16, 28.17, 29.23, 29.25, 30.11, 31.24, 31.28, 32.14 (due week 14)AssessmentAssignment 115%Assignment 215%Assignment 320%Final Exam50%The final examination will not be open book. You will be permitted a two-sided
4、 “cheatsheet” with notes and/or formulae.ScheduleWeek 1:Introduction; Wiener Processes and Itos lemma; Chapter 14Week 2:The Black-Scholes differential equation; Chapter 15 (esp Section 15.6)Week 3-4:Numerical procedures: Binomial and trinomial trees; Monte Carlo simulation; finite difference methods
5、; Chapter 21Week 5:Alternatives to Black-Scholes; Chapter 20 (review) and Sections 27.1 to 27.3Week 6-7:Credit derivatives; Section 24.2 and Chapter 25Week 8-9:Exotic options and their valuation; Chapter 26 and Sections 27.4 to 27.8Week 10:Martingales and measures; Chapter 28Week 11-13:Interest rate derivatives; Chapters 29-32Week 14:Swaps revisited; Chapter 33Week 15:Course review; Chapter 36
